Related papers: Empirical process of residuals for regression mode…
The raking-ratio method is a statistical and computational method which adjusts the empirical measure to match the true probability of sets of a finite partition. We study the asymptotic behavior of the raking-ratio empirical process…
Distributional regression aims at estimating the conditional distribution of a targetvariable given explanatory co-variates. It is a crucial tool for forecasting whena precise uncertainty quantification is required. A popular methodology…
Making informed decisions about model adequacy has been an outstanding issue for regression models with discrete outcomes. Standard assessment tools for such outcomes (e.g. deviance residuals) often show a large discrepancy from the…
This work presents a technique for statistically modeling errors introduced by reduced-order models. The method employs Gaussian-process regression to construct a mapping from a small number of computationally inexpensive `error indicators'…
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or…
We study the convergence rates of empirical Bayes posterior distributions for nonparametric and high-dimensional inference. We show that as long as the hyperparameter set is discrete, the empirical Bayes posterior distribution induced by…
The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop…
We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that…
We provide a comprehensive overview of latent Markov (LM) models for the analysis of longitudinal categorical data. The main assumption behind these models is that the response variables are conditionally independent given a latent process…
In this paper we investigate the problem of testing the assumption of stationarity in locally stationary processes. The test is based on an estimate of a Kolmogorov-Smirnov type distance between the true time varying spectral density and…
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…
A function of the empirical characteristic function,exists for the stable distribution, which leads to a linear regression and can be used to estimate the parameters. Two approaches are often used, one to find optimal values of t, but these…
This thesis deals with the nonparametric estimation of density f of the regression error term E of the model Y=m(X)+E, assuming its independence with the covariate X. The difficulty linked to this study is the fact that the regression error…
We consider marked empirical processes indexed by a randomly projected functional covariate to construct goodness-of-fit tests for the functional linear model with scalar response. The test statistics are built from continuous functionals…
In the present work, we provide the asymptotic behavior of the residual-past entropy, of the mean residual-past lifetime distribution and of the residual-past inaccuracy measure. We are interested in these measures of uncertainty in the…
Despite the significant advances in deep learning over the past decade, a major challenge that limits the wide-spread adoption of deep learning has been their fragility to adversarial attacks. This sensitivity to making erroneous…
Randomized experiments (a.k.a. A/B tests) are a powerful tool for estimating treatment effects, to inform decisions making in business, healthcare and other applications. In many problems, the treatment has a lasting effect that evolves…
Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable…
In this work we propose a framework for constructing goodness of fit tests in both low and high-dimensional linear models. We advocate applying regression methods to the scaled residuals following either an ordinary least squares or Lasso…
We consider regression models with parametric (linear or nonlinear) regression function and allow responses to be ``missing at random.'' We assume that the errors have mean zero and are independent of the covariates. In order to estimate…